a 'route-up' configuration in the client config file would look something like
script-security 2
route-up route-up.bat
or
script-security 2
route-up ..\\scripts\\route-up.bat
In the first example the route-up.bat file must be present in the same directory as the openvpn config file (usually c:\program files\openvpn\config) ; in the second example the script must be present in c:\program files\openvpn\scripts
For Windows Vista/7 client it is sometimes useful to use
script-security 2 system
route-up ..\\scripts\\route-up.bat
as you can avoid some privilege escalation problems with that , but this is considered less secure.